Nordman, Daniel J.; Bunzel, Helle; Lahiri, Soumendra N. - School of Economics and Management, University of Aarhus - 2012
Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new...
